Pharmacokinetic (PK) and pharmacodynamics (PD) are of utmost importance in drug discovery and development. The safety and efficacy of the drugs and their products are highly dependent on their PK and PD properties. They are confirmed through various in silico studies and in vitro and in vivo investigations. Moreover, PK–PD modeling is widely employed to correlate the PK data with the PD data. As compared to other techniques, the microdialysis (MD) method is noninvasive, cheaper, and easy to operate. Its principle is based on the concentration gradient across the semipermeable membrane separated by two compartments. Herein, we have described in detail the use of MD to study PK–PD of drugs and its application in different models, especially in the PK–PD modeling. Further, we have discussed the preclinical and clinical use of MD in determining drug concentration for antimicrobial agents, central nervous systems drugs, autonomic nervous system drugs, and anticancer drugs.